This file contains replication files for "RELATIVE GOODS� PRICES AND PURE INFLATION" by Ricardo Reis and Mark Waton, November 2007.

All programs are in GAUSS and are in the subdirectory ..\gss.  Data files are ASCII or Excel files and are in the subdirectory ..\data

Data:

1. The inflation data are contained in the excel file DATAT.XLS.  (These data are 100*quarterly log differences).

2. The file pce_nominal_outseries.xls contains the names of the pce categories.

3. Macro variables are contained in a variety of ASCII files.  These are input using the program macvars_in.gss (where the series are internally documented)

Programs:

Factor Estimates:
(a) Principal Components Estimates with unit factor loading on a(t):
    These estimates are computed in PC_ESTIMATES.GSS

(b) Parametric Model
    The parameters for the models with the unit factor loading constraint are estimated in NPI_EM_4.GSS (user supplied parameters on the top of the program govern the specifics of the model).
    The parameters for the models without the unit factor loading constraint are estimated in NPI_EM_5.GSS (user supplied parameters on the top of the program govern the specifics of the model).



Table A1 (Data appendix): The table is constructed in DATA_APPENDIX.GSS


Table 1:  Results computed in Table1_pt1.gss and Table1_pt2.gss

Table 2:  Results computed in Table2_a.gss, Table2_b.gss, Table2_c.gss, Table2_d.gss.

Table 3:  Results computed in Table3_a.gss, Table3_b.gss, Table3_c.gss.

Table 4:  Results computed in Table4.gss

Table 5:  Results computed in Table5.gss

Table 6:  Each entry in the table is computed in a different program.  
          Col 3:
             Parametric factor model results are computed in TABLE6_COL3_KALMAN.GSS, where the parameters at the top are changed to match the various Factor Estimates
             Parametric factor model results are computed in TABLE6_COL3_PC.GSS, where the parameters at the top are changed to match the various Factor Estimates
          Col 4:
             "D" specifications are computed in TABLE6_COL4_D.GSS, where the parameters at the top are changed to match the various Factor Estimates
             "L" specifications are computed in TABLE6_COL4_L.GSS, where the parameters at the top are changed to match the various Factor Estimates
          Col 5:
             "D" specifications are computed in TABLE6_COL5_D.GSS, where the parameters at the top are changed to match the various Factor Estimates
             "L" specifications are computed in TABLE6_COL5_L.GSS, where the parameters at the top are changed to match the various Factor Estimates
          Col 6 and 7:
             "D" specifications are computed in TABLE6_COL67_D.GSS, where the parameters at the top are changed to match the various Factor Estimates
             "L" specifications are computed in TABLE6_COL67_L.GSS, where the parameters at the top are changed to match the various Factor Estimates

Figure 1 (and Bai-Ng) results: These are computed in bai_ng_figure1.gss. The figure is plotted in rw_figures_november09_2007.xls

Figure 2:  These results are computed in figure2.gss.The figure is plotted in rw_figures_november09_2007.xls

Figure 3:  Computation and graphs in v_estimates_kalman.gss

Figure 4:  Computation of dv for PC estimator is in v_estimates_pc.gss; computation for parametric estimator is in v_estimates_kalman.gss; graph is constructed in Figure 4.gss

Note: estimated of v(t)-v(t-1), the relative price factors R(t) and a(t) (using the normalization described in the text) for the benchmark model are computed in v_estimates_csv.gss. These estimates are given in RW_Factors.XLS.